Frontman Matt Berninger told The Quietus: "I think is a fun song, a celebration of sorrow. It's a wallowing song."
Berninger expanded on the song to Spinner UK: "'Sorrow' is, in some ways, a person's relationship with their own sadness. In many ways they have a very loving and needy relationship with their sadness. That one's maybe not particularly about me - it's a little bit about Bryan our drummer, it's a little bit about my brother."
The National performed the song continuously for six hours as part of an art piece conceived by Icelandic artist Ragnar Kjartansson. The event, cheekily titled "A Lot of Sorrow," was held on May 5, 2013 in the Long Island City museum's VW Dome. "Our performance was weird," Berninger told UK newspaper The Independent. "We played 'Sorrow' 108 times and around the 98th or 99th time I choked up a little bit... It wasn't a painful process – I think we found it a bonding thing; one of the best experiences we've had together as a band. We won't do it again, though."